Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0688
Annualized Std Dev 0.2318
Annualized Sharpe (Rf=0%) 0.2969

Row

Daily Return Statistics

Close
Observations 3623.0000
NAs 1.0000
Minimum -0.1318
Quartile 1 -0.0055
Median 0.0008
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0071
Maximum 0.1401
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0146
Skewness -0.2424
Kurtosis 11.3123

Downside Risk

Close
Semi Deviation 0.0106
Gain Deviation 0.0104
Loss Deviation 0.0117
Downside Deviation (MAR=210%) 0.0151
Downside Deviation (Rf=0%) 0.0105
Downside Deviation (0%) 0.0105
Maximum Drawdown 0.6259
Historical VaR (95%) -0.0211
Historical ES (95%) -0.0358
Modified VaR (95%) -0.0213
Modified ES (95%) -0.0331
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-06 2013-02-13 -0.6259 1293 378 915
2020-01-17 2020-03-23 2020-12-15 -0.4640 231 45 186
2015-05-19 2016-01-20 2016-11-14 -0.2411 378 170 208
2018-08-30 2018-12-24 2019-12-17 -0.2368 327 80 247
2014-09-03 2014-10-13 2015-02-13 -0.1067 114 29 85

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA NA NA NA NA NA -0.3 -1.2 -1.5
2006 0.2 0.5 -0.2 0.1 1.2 2.8 -0.6 0.2 0 0.1 0.3 0.1 4.8
2007 1.1 -0.3 0.3 -1.5 0.2 -0.5 -1.2 1.5 1.3 -1.6 0.9 -0.2 0
2008 1.9 -2.4 2.7 0.8 1.2 -1 -0.2 1.3 3.2 1.2 -4.6 1.8 5.8
2009 -4.3 -1 1 -0.5 0 1 -0.7 -2.8 -3 -2.4 1.7 -0.3 -10.9
2010 1 1 0.5 -1.8 -2 -1.6 0 3.3 0.1 -0.6 1.6 -0.2 1.1
2011 1.2 -1.8 0.7 0.9 -1.2 1.2 -1.3 -0.6 0.1 -3.6 0.5 0.1 -3.9
2012 2.6 1.2 0.9 0.6 -2 3.4 -0.8 0.4 -0.9 0 0.8 0.6 6.9
2013 1 -0.4 -0.8 -1.4 -0.3 0.8 1.5 -1.4 1.3 -0.4 0.1 0.1 -0.3
2014 -0.3 0.5 0.6 0 -0.1 0.8 -0.2 0.4 -1.8 1.4 -1.5 -0.7 -0.9
2015 -1 -0.6 -0.5 0.7 0.1 0 0.1 -3.1 -0.1 0 0.7 -1.2 -4.8
2016 -0.3 1.7 0.4 -0.4 0.3 0.8 -0.7 -0.4 1 -1.2 0.2 -0.7 0.7
2017 -0.2 1.6 0.2 0.2 1.4 0 0.1 0.5 0.1 -0.2 -0.2 -0.5 3
2018 0.1 -0.1 1.3 0.2 0.3 0 -0.4 0.1 -0.6 1.8 0.5 0.9 4
2019 0.2 0.7 1.7 -1.1 -1.3 0.2 -2.1 0.4 -2 1.6 -0.9 0.3 -2.6
2020 -1.9 -1.8 -6 -3.8 1.5 -1.4 -1.3 0.7 1.2 -0.5 1.6 0.1 -11.2
2021 1.9 2.7 -0.4 NA NA NA NA NA NA NA NA NA 4.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2005-11-16  25.4 SPY    123.  0.002     0.009    0.0481   0.0106   0.0414    0.351  -0.118  GLD    47.8  0.024     0.0262
2 2005-11-17  25.7 SPY    125.  0.00930   0.0105   0.0406   0.0177   0.0497    0.378  -0.0877 GLD    48.5  0.0147    0.043 
3 2005-11-18  25.9 SPY    125.  0.0039    0.0111   0.0634   0.0217   0.0657    0.385  -0.077  GLD    48.5 -0.0004    0.0355
4 2005-11-21  26.0 SPY    126.  0.005     0.0167   0.0646   0.0288   0.0659    0.362  -0.0961 GLD    49.0  0.0109    0.0508
5 2005-11-28  26.2 SPY    126. -0.0071    0.0088   0.0688   0.0373   0.0715    0.377  -0.0628 GLD    49.7  0.0065    0.0264
6 2005-11-29  26.3 SPY    126. -0.0011    0.0026   0.0525   0.0416   0.0696    0.337  -0.0686 GLD    49.8  0.00120   0.0165
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart